A Simple Model and Its Application in the Valuation of Eleven Main Real Exchange Rates
Zhibai Zhang
Zhaoqing University
International Research Journal of Finance and Economics, Issue 97, pp.55-59, September, 2012
Abstract:
A simple currency valuation model is given. The model is based on the Penn effect but reduces the uncertainty of the econometric specification that the Penn effect and many other models have. We use the model to valuate eleven main currencies’ bilateral real exchange rate against the US dollar from 1980 to 2010. In the model finding, a seeming convergence phenomenon is found.
Number of Pages in PDF File: 5
Keywords: equilibrium exchange rate, purchasing power parity, Penn effect model, Chinese renminbi
JEL Classification: F31, F41
working papers series
Suggested Citation
Zhang, Zhibai, A Simple Model and Its Application in the Valuation of Eleven Main Real Exchange Rates. International Research Journal of Finance and Economics, Issue 97, pp.55-59, September, 2012. Available at SSRN: http://ssrn.com/abstract=2120300 or http://dx.doi.org/10.2139/ssrn.2120300
